---
title: "Project Title"
subtitle: "INFO 523 - Final Project"
author:
- name: "Matt Osterhoudt"
affiliations:
- name: "College of Information Science, University of Arizona"
description: "Project description"
format:
html:
code-tools: true
code-overflow: wrap
embed-resources: true
editor: visual
execute:
warning: false
echo: false
jupyter: python3
---
## Abstract
## Introduction/Question
## Approach
## Code & Visual Analysis
```{python}
#| label: load-packages
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# Load packages here
import pandas as pd
import numpy as np
import seaborn as sns
import yfinance as yf
import matplotlib.pyplot as plt
from statsmodels.tsa.stattools import adfuller
from statsmodels.graphics.tsaplots import plot_acf, plot_pacf
from statsmodels.tsa.arima.model import ARIMA
from sklearn.preprocessing import MinMaxScaler
from tensorflow.keras.models import Sequential
from tensorflow.keras.layers import *
from tensorflow.keras.layers import LSTM, Dense, Dropout
from tensorflow.keras.metrics import RootMeanSquaredError
from tensorflow.keras.callbacks import ModelCheckpoint
from tensorflow.keras.models import load_model
# SPY S&P 500 ETF Stock
ticker1 = yf.Ticker("SPY")
data1 = ticker1.history(period = "max")
data1 = data1.loc["2015-01-01":"2024-12-31"]
data1.to_csv("data/spy_2015_2024.csv")
#print(data1.to_string())
spy_close = data1[["Close"]]
# Schwab Index Stock
ticker2 = yf.Ticker("SWPPX")
data2 = ticker2.history(period = "max")
data2 = data2.loc["2015-01-01":"2024-12-31"]
data2.to_csv("data/swppx_2015_2024.csv")
#print(data2.to_string())
swppx_close = data2[["Close"]]
# Microsoft Stock. I wanted to include a consistent large cap stock
ticker3 = yf.Ticker("MSFT")
data3 = ticker3.history(period = "max")
data3 = data3.loc["2015-01-01":"2024-12-31"]
data3.to_csv("data/msft_2015_2024.csv")
#print(data3.to_string())
data3.info()
msft_close = data3[["Close"]]
```
```{python}
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# ------MSFT Arima Model Section------
data3.info()
# Setting a function for easier titling
def add_title(ax, title):
ax.set_title(title)
fig, ax1 = plt.subplots(figsize=(8, 5))
msft_close.plot(ax = ax1)
add_title(ax1, "MSFT Closing Price")
n = int(len(msft_close) * 0.8)
train_msft = msft_close.iloc[:n]
test_msft = msft_close.iloc[n:]
test_msft.info()
# Manually check for stationarity
# ACF and DACF Test
fig, ax2 = plt.subplots(figsize = (8, 5))
plot_acf(train_msft, ax = ax2)
add_title(ax2, "ACF of MSFT Closing Price")
fig, ax3 = plt.subplots(figsize = (8, 5))
plot_pacf(train_msft, ax = ax3)
add_title(ax3, "PACF of MSFT Closing Price")
# ADF Test
msft_adf_test = adfuller(train_msft["Close"])
print(f'p-value pre-difference: {msft_adf_test[1]}')
# Implement differencing
train_msft_diff = train_msft.diff().dropna()
fig, ax4 = plt.subplots(figsize = (8, 5))
train_msft_diff.plot(ax = ax4)
add_title(ax4, "Differenced MSFT Closing Price")
# PACF/ACF Differenced Plots
fig, ax5 = plt.subplots(figsize=(8, 5))
plot_acf(train_msft_diff, ax = ax5)
add_title(ax5, "ACF of Differenced MSFT")
fig, ax6 = plt.subplots(figsize=(8, 5))
plot_pacf(train_msft_diff, ax = ax6)
add_title(ax6, "PACF of Differenced MSFT")
# Data is now stationary after differencing, based on P-value
msft_adf_test_diff = adfuller(train_msft_diff["Close"])
print(f'p-value post-difference: {msft_adf_test_diff[1]}')
msft_arima_model = ARIMA(train_msft["Close"], order = (9, 1, 9), trend = 't')
msft_arima_result = msft_arima_model.fit()
print(msft_arima_result.summary())
msft_forecast_test = msft_arima_result.forecast(len(test_msft))
# Prediction
pred = msft_arima_result.predict(
start = len(train_msft),
end = len(train_msft) + len(test_msft) - 1,
dynamic = True
)
# Align predicted index to test dates for plotting
pred.index = test_msft.index
# Plot actual vs forecast
fig, ax = plt.subplots(figsize = (8, 5))
# Training data
train_msft["Close"].plot(ax = ax, label = "Train", color="blue")
# Test data
test_msft["Close"].plot(ax = ax, label = "Test", color="green")
# Forecasted values
pred.plot(ax = ax, label = "Prediction", color = "red")
ax.set_title("MSFT ARIMA Forecast vs Actual")
ax.set_xlabel("Date")
ax.legend()
plt.show()
```
```{python}
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# ===============================
# MSFT LSTM
# ===============================
msft_close_data = msft_close.values # Taking shape
# This time, I am scaling the data
scaler = MinMaxScaler(feature_range=(0, 1))
scaled_msft_close = scaler.fit_transform(msft_close_data)
# This function takes the data by intervals of 60, and converts it to supervised learning examples for later.
def create_sequences(data, interval = 60):
X = []
y = []
for i in range(interval, len(data)):
X.append(data[i-interval:i, 0])
y.append(data[i, 0])
return np.array(X), np.array(y)
interval = 60 # days of history per sample
X_all, y_all = create_sequences(scaled_msft_close, interval)
# Double checking the output
X_all.view()
y_all.view()
# Usual 80/20 split
n_train = int(len(X_all) * 0.8)
X_train, X_test = X_all[:n_train], X_all[n_train:]
y_train, y_test = y_all[:n_train], y_all[n_train:]
# LSTM Tensorflow needs input in [samples, timesteps, features] form, so this code converts our 2d input into 3d. The final "1" is the new features dimension.
X_train = X_train.reshape((X_train.shape[0], X_train.shape[1], 1))
X_test = X_test.reshape((X_test.shape[0], X_test.shape[1], 1))
# Building model with parameters
msft_lstm_model = Sequential()
msft_lstm_model.add(InputLayer(input_shape = (interval, 1)))
# Via online research as to what units to use
msft_lstm_model.add(LSTM(50))
msft_lstm_model.add(Dropout(0.2))
msft_lstm_model.add(Dense(8, "relu"))
msft_lstm_model.add(Dense(1, "linear"))
msft_lstm_model.summary()
# This code will save the best model
msft_cp = ModelCheckpoint("msft_lstm_model/.keras", save_best_only = True)
# Builds model and tracks MSE, RMSE, and default value loss
msft_lstm_model.compile(optimizer = "adam", loss = "mean_squared_error", metrics = [RootMeanSquaredError()])
# Training model with 32 sequences and 20 epoch parameter.
msft_lstm_model.fit(X_train, y_train, batch_size = 32, epochs = 20, validation_data = (X_test, y_test), callbacks = [msft_cp])
# Loads best model for our plot later
msft_lstm_model = load_model("msft_lstm_model/.keras")
predictions = msft_lstm_model.predict(X_test)
# Undoing the scaler
predictions = scaler.inverse_transform(predictions.reshape(-1, 1))
y_test_actual = scaler.inverse_transform(y_test.reshape(-1, 1))
# MSFT LSTM Plot
train_dates = msft_close.index[interval:n_train + interval]
test_dates = msft_close.index[n_train + interval:]
fig, ax = plt.subplots(figsize = (8,5))
ax.plot(test_dates, y_test_actual, label = "Actual", color = "green")
ax.plot(test_dates, predictions, label = "Predicted", color = "red")
ax.set_title("MSFT LSTM Prediction vs Actual")
ax.set_xlabel("Date")
ax.set_ylabel("Price")
ax.legend()
plt.show()
# ===============================
# SPY LSTM
# ===============================
spy_close_data = spy_close.values # Taking shape
scaler = MinMaxScaler(feature_range = (0, 1))
scaled_spy_close = scaler.fit_transform(spy_close_data)
X_all, y_all = create_sequences(scaled_spy_close, interval = 60)
X_all.view()
y_all.view()
n_train = int(len(X_all) * 0.8)
X_train, X_test = X_all[:n_train], X_all[n_train:]
y_train, y_test = y_all[:n_train], y_all[n_train:]
X_train = X_train.reshape((X_train.shape[0], X_train.shape[1], 1))
X_test = X_test.reshape((X_test.shape[0], X_test.shape[1], 1))
spy_lstm_model = Sequential()
spy_lstm_model.add(InputLayer(input_shape = (interval, 1)))
spy_lstm_model.add(LSTM(50))
spy_lstm_model.add(Dropout(0.2))
spy_lstm_model.add(Dense(8, "relu"))
spy_lstm_model.add(Dense(1, "linear"))
spy_lstm_model.summary()
spy_cp = ModelCheckpoint("spy_lstm_model/.keras", save_best_only = True)
spy_lstm_model.compile(optimizer = "adam", loss = "mean_squared_error", metrics = [RootMeanSquaredError()])
spy_lstm_model.fit(X_train, y_train, batch_size=32, epochs = 20, validation_data = (X_test, y_test), callbacks = [spy_cp])
spy_lstm_model = load_model("spy_lstm_model/.keras")
predictions = spy_lstm_model.predict(X_test)
predictions = scaler.inverse_transform(predictions.reshape(-1, 1))
y_test_actual = scaler.inverse_transform(y_test.reshape(-1, 1))
train_dates = spy_close.index[interval:n_train + interval]
test_dates = spy_close.index[n_train + interval:]
fig, ax = plt.subplots(figsize = (8,5))
ax.plot(test_dates, y_test_actual, label = "Actual", color = "green")
ax.plot(test_dates, predictions, label = "Predicted", color = "red")
ax.set_title("SPY LSTM Prediction vs Actual")
ax.set_xlabel("Date")
ax.set_ylabel("Price")
ax.legend()
plt.show()
# ===============================
# SWPPX LSTM
# ===============================
swppx_close_data = swppx_close.values # Taking shape
scaler = MinMaxScaler(feature_range = (0, 1))
scaled_swppx_close = scaler.fit_transform(swppx_close_data)
X_all, y_all = create_sequences(scaled_swppx_close, interval = 60)
X_all.view()
y_all.view()
n_train = int(len(X_all) * 0.8)
X_train, X_test = X_all[:n_train], X_all[n_train:]
y_train, y_test = y_all[:n_train], y_all[n_train:]
X_train = X_train.reshape((X_train.shape[0], X_train.shape[1], 1))
X_test = X_test.reshape((X_test.shape[0], X_test.shape[1], 1))
swppx_lstm_model = Sequential()
swppx_lstm_model.add(InputLayer(input_shape = (interval, 1)))
swppx_lstm_model.add(LSTM(50))
swppx_lstm_model.add(Dropout(0.2))
swppx_lstm_model.add(Dense(8, "relu"))
swppx_lstm_model.add(Dense(1, "linear"))
swppx_lstm_model.summary()
swppx_cp = ModelCheckpoint("swppx_lstm_model/.keras", save_best_only = True)
swppx_lstm_model.compile(optimizer = "adam", loss="mean_squared_error", metrics = [RootMeanSquaredError()])
swppx_lstm_model.fit(X_train, y_train, batch_size = 32, epochs = 20, validation_data = (X_test, y_test), callbacks = [swppx_cp])
swppx_lstm_model = load_model("swppx_lstm_model/.keras")
predictions = swppx_lstm_model.predict(X_test)
predictions = scaler.inverse_transform(predictions.reshape(-1, 1))
y_test_actual = scaler.inverse_transform(y_test.reshape(-1, 1))
train_dates = swppx_close.index[interval:n_train + interval]
test_dates = swppx_close.index[n_train + interval:]
fig, ax = plt.subplots(figsize = (8,5))
ax.plot(test_dates, y_test_actual, label = "Actual", color = "green")
ax.plot(test_dates, predictions, label = "Predicted", color = "red")
ax.set_title("SWPPX LSTM Prediction vs Actual")
ax.set_xlabel("Date")
ax.set_ylabel("Price")
ax.legend()
plt.show()
```
## Discussion
## Conclusion
Add project abstract here.
